The user guide says that for Windows XP, the data folder, including the strategies subfolder that is critical to back up, is here:

C:\Documents and Settings\Windows User Name\Application Data\Fidelity Investments\WealthLabPro\1.0.0.0\Data\

On my system, it is there, but also here:

C:\Program Files\Fidelity Investments\Wealth-Lab Pro 5\Data\

Why two locations? Are both updated by WL, in synch, or is only one updated? Where will a new user-created or downloaded strategy go? Where will new data go?

No need to care about that extra directory: it doesn't actually "store" user's data. These files are used to upgrade new installations (e.g. a change in the Dow 30 DataSet will refresh your existing copy in %AppData%, or a bugfixed Strategy will replace the associated XML file installed by a previous release).

Thanks.

Is it possible to change the Data location?

Actually my software installed on C drive but i want all the download quote data to be stored at D drive, dont know whether possible or not.

For Fidelity Static data provider, yes. See the User Guide for more details. Relocating Fundamental data and other, as far as I remember, was on Fidelity's plate (Robert, please correct me if I'm wrong). For MS123 data providers like Yahoo!, relocating their data is a long-term plan. Changing the entire Data folder is not an option, though.

That's right. Data relocation only works for price data in version 5.3. In 5.5 (I think) moving Fidelity Fundamental data too will be supported.